In general, there are three ways to
receive SMS messages using your
computer / PC:

Connect a mobile phone or GSM/GPRS modem to a computer / PC. Then use the
computer / PC and AT commands to get
the received SMS messages from the
mobile phone or GSM/GPRS modem.

Get access to the SMS center (SMSC) or SMS gateway of a wireless carrier.
Any SMS messages received will be
forwarded to your computer / PC using
a protocol / interface supported by
the SMSC or SMS gateway.

Get access to the SMS gateway of an SMS service provider. Any SMS messages
received will be forwarded to your
computer / PC using a protocol /
interface supported by the SMS
gateway.

If you do not want to develop SMS
software or applications but just want
to use your computer / PC to receive
text messages, you may want to read
our Quick Guide for
Non-Developers.

I successfully configured it once, by attaching a mobile phone to my computer. After a successful testing we opted for subscribing to SMS service provider. In the latter case the service provider used to invoke our URL in order to deliver received SMS.